Derivatives, Futures & Options
2 terms
Delta
Derivatives, Futures & Options
ratio (x, times)
The rate at which an option's price changes for a one-unit change in the underlying.
Delta = Change in Option Price / Change in Underlying Price; ranges 0 to 1 for calls and 0 to -1 for puts
Derivative
Derivatives, Futures & Options
qualitative
A contract whose value is determined by the price of another asset, called the underlying.
Test: the contract's payoff is defined by reference to the price of a separate asset, rate or index